Here is the procedure to link a challenge to an activity in your course if the following message appears:

This challenge is not linked to an activity in your LMS. Currently, participants cannot access the challenge. To resolve this issue, link this challenge to the activity in your LMS course.

• Add a new activity to your course
• Click on this new activity, the challenge creation interface should appear
• Go back to the challenge and click on the “Link an LMS activity” button in the General information step
• Search for your activity and select it; the platform will confirm that the challenge is now linked to your activity
• Return to your course and click on the activity to verify that it is properly linked to your challenge.

https://youtu.be/LA1tcnq1LjE